# Table 2: Rate Decomposition Results

## Model Summary

| Model | Dep Var | N | Countries | R² | ρ |
|---|---|---|---|---|---|
| M1: Z → real 10y (baseline) | real_bond_10y | 803 | 23 | 0.108 | 0.910 |
| M2: Z → real 3m | real_short_3m | 813 | 23 | 0.005 | 0.854 |
| M3: Z → term spread | term_spread | 781 | 23 | 0.113 | 0.702 |
| M4a: Safe → real 10y | real_bond_10y | 584 | 20 | 0.390 | 0.897 |
| M4b: Non-safe → real 10y | real_bond_10y | 219 | 19 | -0.564 | 0.934 |
| M4c: Z×safe → real 10y | real_bond_10y | 803 | 23 | 0.104 | 0.910 |
| M5a: Z → sovereign spread | sovereign_spread | 803 | 23 | 0.226 | 0.720 |
| M5b: Non-safe Z → spread | sovereign_spread | 219 | 19 | 0.266 | 0.708 |
| M5c: Z → domestic spread | domestic_spread | 1317 | 70 | 0.043 | 0.832 |
| M6a: Z → lending-govt spread | lending_govt_spread | 257 | 11 | 0.144 | 0.657 |
| M6b: Safe Z → lend-govt spread | lending_govt_spread | 186 | 10 | 0.198 | 0.646 |
| M7a: OECD Z → real 10y | real_bond_10y | 803 | 23 | 0.108 | 0.910 |
| M7c: OECD Z → spread | sovereign_spread | 803 | 23 | 0.226 | 0.720 |
| M8a: age → real 10y | real_bond_10y | 803 | 23 | 0.139 | 0.911 |
| M8b: age → sovereign spread | sovereign_spread | 803 | 23 | 0.202 | 0.730 |
| M8c: age → lend-govt spread | lending_govt_spread | 257 | 11 | 0.143 | 0.649 |
| M9a: Z → 10y + safe_supply | real_bond_10y | 727 | 23 | 0.306 | 0.881 |
| M9b: safe_supply → 10y | real_bond_10y | 727 | 23 | 0.226 | 0.891 |

## Key Coefficients

| Model | Variable | Coef | SE | p-value | Sig |
|---|---|---|---|---|---|
| M1: Z → real 10y (baseline) | Z_1 | 43.7238 | 18.0098 | 0.0154 | ** |
| M1: Z → real 10y (baseline) | Z_2 | -4.6309 | 2.3736 | 0.0514 | * |
| M1: Z → real 10y (baseline) | Z_3 | 0.1347 | 0.0881 | 0.1264 |  |
| M2: Z → real 3m | Z_1 | 60.0749 | 20.9837 | 0.0043 | *** |
| M2: Z → real 3m | Z_2 | -7.0133 | 2.7843 | 0.0120 | ** |
| M2: Z → real 3m | Z_3 | 0.2258 | 0.1037 | 0.0297 | ** |
| M3: Z → term spread | Z_1 | -10.6536 | 11.5529 | 0.3567 |  |
| M3: Z → term spread | Z_2 | 1.4790 | 1.5314 | 0.3345 |  |
| M3: Z → term spread | Z_3 | -0.0549 | 0.0568 | 0.3344 |  |
| M4a: Safe → real 10y | Z_1 | 70.5029 | 15.6867 | 0.0000 | *** |
| M4a: Safe → real 10y | Z_2 | -8.3159 | 2.0623 | 0.0001 | *** |
| M4a: Safe → real 10y | Z_3 | 0.2745 | 0.0764 | 0.0004 | *** |
| M4b: Non-safe → real 10y | Z_1 | 0.1595 | 47.6525 | 0.9973 |  |
| M4b: Non-safe → real 10y | Z_2 | 0.8234 | 6.2674 | 0.8956 |  |
| M4b: Non-safe → real 10y | Z_3 | -0.0587 | 0.2312 | 0.7999 |  |
| M4c: Z×safe → real 10y | Z_1 | 24.5931 | 22.9142 | 0.2835 |  |
| M4c: Z×safe → real 10y | Z_2 | -2.5053 | 3.0126 | 0.4059 |  |
| M4c: Z×safe → real 10y | Z_3 | 0.0669 | 0.1112 | 0.5476 |  |
| M4c: Z×safe → real 10y | safe_issuer | -0.3515 | 0.4093 | 0.3907 |  |
| M4c: Z×safe → real 10y | Z_1_x_safe | 34.7332 | 21.8937 | 0.1130 |  |
| M4c: Z×safe → real 10y | Z_2_x_safe | -3.8704 | 2.8553 | 0.1756 |  |
| M4c: Z×safe → real 10y | Z_3_x_safe | 0.1254 | 0.1045 | 0.2305 |  |
| M5a: Z → sovereign spread | Z_1 | 21.8563 | 10.7446 | 0.0423 | ** |
| M5a: Z → sovereign spread | Z_2 | -2.9886 | 1.4197 | 0.0356 | ** |
| M5a: Z → sovereign spread | Z_3 | 0.1112 | 0.0526 | 0.0347 | ** |
| M5b: Non-safe Z → spread | Z_1 | 10.6773 | 28.7827 | 0.7110 |  |
| M5b: Non-safe Z → spread | Z_2 | -1.7033 | 3.8158 | 0.6558 |  |
| M5b: Non-safe Z → spread | Z_3 | 0.0688 | 0.1411 | 0.6265 |  |
| M5c: Z → domestic spread | Z_1 | 31.7225 | 18.5089 | 0.0868 | * |
| M5c: Z → domestic spread | Z_2 | -4.4145 | 2.7448 | 0.1080 |  |
| M5c: Z → domestic spread | Z_3 | 0.1649 | 0.1107 | 0.1364 |  |
| M6a: Z → lending-govt spread | Z_1 | 19.4075 | 14.8304 | 0.1919 |  |
| M6a: Z → lending-govt spread | Z_2 | -2.3755 | 1.9763 | 0.2305 |  |
| M6a: Z → lending-govt spread | Z_3 | 0.0840 | 0.0734 | 0.2538 |  |
| M6b: Safe Z → lend-govt spread | Z_1 | 36.8984 | 18.2023 | 0.0441 | ** |
| M6b: Safe Z → lend-govt spread | Z_2 | -4.9653 | 2.3995 | 0.0400 | ** |
| M6b: Safe Z → lend-govt spread | Z_3 | 0.1851 | 0.0885 | 0.0380 | ** |
| M7a: OECD Z → real 10y | Z_1 | 43.7238 | 18.0098 | 0.0154 | ** |
| M7a: OECD Z → real 10y | Z_2 | -4.6309 | 2.3736 | 0.0514 | * |
| M7a: OECD Z → real 10y | Z_3 | 0.1347 | 0.0881 | 0.1264 |  |
| M7c: OECD Z → spread | Z_1 | 21.8563 | 10.7446 | 0.0423 | ** |
| M7c: OECD Z → spread | Z_2 | -2.9886 | 1.4197 | 0.0356 | ** |
| M7c: OECD Z → spread | Z_3 | 0.1112 | 0.0526 | 0.0347 | ** |
| M8a: age → real 10y | old_dep | -16.9266 | 4.8058 | 0.0005 | *** |
| M8a: age → real 10y | youth_dep | 17.2517 | 5.9420 | 0.0038 | *** |
| M8b: age → sovereign spread | old_dep | -0.4561 | 2.6254 | 0.8621 |  |
| M8b: age → sovereign spread | youth_dep | 6.2025 | 3.2085 | 0.0536 | * |
| M8c: age → lend-govt spread | old_dep | 1.2621 | 3.0841 | 0.6827 |  |
| M8c: age → lend-govt spread | youth_dep | -4.8631 | 2.9219 | 0.0973 | * |
| M9a: Z → 10y + safe_supply | Z_1 | 30.5233 | 18.2925 | 0.0956 | * |
| M9a: Z → 10y + safe_supply | Z_2 | -3.3322 | 2.3941 | 0.1644 |  |
| M9a: Z → 10y + safe_supply | Z_3 | 0.0988 | 0.0881 | 0.2626 |  |
| M9a: Z → 10y + safe_supply | safe_supply_ratio | -2.6405 | 0.9379 | 0.0050 | *** |
| M9b: safe_supply → 10y | safe_supply_ratio | -2.8930 | 0.9207 | 0.0017 | *** |

*Controls: rgdp_growth, inflation, fiscal_bal_gdp, kaopen, nfa_gdp_lag*
*PanelGLS with AR(1) correction, no fixed effects.*
*Safe issuer = S&P rating AA- or above (time-varying).*

## Safe vs Non-Safe Rate Comparison

| Subsample | Z₁ Coef | Z₁ p | R² | N |
|-----------|---------|------|-----|---|
| M1: Z → real 10y (baseline) | 43.72** | 0.0154 | 0.108 | 803 |
| M2: Z → real 3m | 60.07*** | 0.0043 | 0.005 | 813 |
| M3: Z → term spread | -10.65 | 0.3567 | 0.113 | 781 |
| M4a: Safe → real 10y | 70.50*** | 0.0000 | 0.390 | 584 |
| M4b: Non-safe → real 10y | 0.16 | 0.9973 | -0.564 | 219 |
| M4c: Z×safe → real 10y | 24.59 | 0.2835 | 0.104 | 803 |
| M5a: Z → sovereign spread | 21.86** | 0.0423 | 0.226 | 803 |
| M5b: Non-safe Z → spread | 10.68 | 0.7110 | 0.266 | 219 |
| M5c: Z → domestic spread | 31.72* | 0.0868 | 0.043 | 1317 |
| M6a: Z → lending-govt spread | 19.41 | 0.1919 | 0.144 | 257 |
| M6b: Safe Z → lend-govt spread | 36.90** | 0.0441 | 0.198 | 186 |
| M7a: OECD Z → real 10y | 43.72** | 0.0154 | 0.108 | 803 |
| M7c: OECD Z → spread | 21.86** | 0.0423 | 0.226 | 803 |
| M9a: Z → 10y + safe_supply | 30.52* | 0.0956 | 0.306 | 727 |